What you refer to is called Orienteering and, specifically, a String Course for those 4 to 7 years of age.
The string course is a short orienteering course which is marked by a continous ribbon or yarn.
Same link: http://www.us.orienteering.org/OYoung/StringO.html
Anyhow, I've done some of this, Orienteering, it's fun, trying and a good exercise...
What is really cool about the sport is it can be done while running or walking. Also, people of all ages do it - I've had a 65 year old guy run by me at a full sprint.
Actually, I was thinking more of something more along the lines of a long leash so that they could only wander off a short distance. Hopefully, they could follow the rope back to their vehicle on their own. Otherwise, "rescuers" could simply pull on the rope and drag them back to safety.